On Linux or MacOSX, installation is easy if you’re comfortable with using the command line. On Windows, it’s a bit more of a hassle because you need a variety of other supporting utilities
Mac
get_iplayer is a Perl script which can use the version of Perl installed in MacOSX 10.5. However, to download the Flash stream, you also need rtmpdump (to capture the stream) and ffmpeg (to reformat it as a Quicktime-compatible file). You can find binaries for both of these on my downloads page.
Windows
Luckily Simon Dible has put together an Automated Windows Installer for get_iplayer which takes the pain out of installing all the required software. As my home computers are Macs, I’ve only tried this very briefly, but it seems to work very well.
Linux
Let’s face it, if you’re using Linux, you probably don’t need me to tell you how to do this.